UKRAINIAN FINANCIAL MARKETS:AN EXAMINATION OF CALENDAR ANOMOLIES
Academic Article
Overview
Overview
Abstract
This paper investigates the January effect, the weekend effect, and the turn-of-the-month (TOM) effect in Ukrainian financial markets. Ukraine provides an opportunity to examine the efficiency of emerging markets, adding to the extensive body of research on calendar anomalies. Although we find no evidence of the January effect or the weekend effect in the Ukrainian stock and bond markets, our results support the presence of a TOM effect in the Ukrainian stock market. The mean daily return during the TOM period is 0.35 percent, versus an mean daily return of 0.24 percent during the rest of the month. In addition, the mean daily TOM return exceeds the mean daily return for the rest of the month in 63 percent of the months in our five year study.
